[Gretl-users] Re: MLE estimation N/A std errors even when based on Outer product matrix

On Thu, 26 Mar 2020, Alecos Papadopoulos wrote: > Gretl 2020a windows 64bit. > > Consider the following output from mle estimation (pay attention to > the Gradient values and the NA std errors): [...] > > I have a question, and  a suspicion about what the answer might be. > > My question is: since the Std errors are based on the Outer Products > matrix, why are they not computed/presented ? Never mind whether this > is a successful estimation attempt -it is not. My question is > "mechanical". I would understand "NA" if I was asking for std errors > based on the inverted Hessian. But where is the problem in computing > std errors based on the gradient? Your suspicion, I suspect, is just slightly off the mark. The OPG matrix is in fact calculated as G'G, banking on the idea that sumc(G) should be 0 at convergence (note: differently from your message, here I'm using G for the n x k matrix of gradients per observation). The name you gave to the coefficients seem to suggest that you have a variance parameter whose estimate is numerically 0. In those cases, it wouldn't surprise me if the G'G matrix (which is positive semidefinite by construction) was numerically singular; upon inversion, God knows what could happen. For all we know, it could be full of negative elements. -------------------------------------------------------   Riccardo (Jack) Lucchetti   Dipartimento di Scienze Economiche e Sociali (DiSES)   Università Politecnica delle Marche   (formerly known as Università di Ancona)   r.lucchetti(a)univpm.it   http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/